Analysis of State-Independent Importance-Sampling Measures for the Two-Node Tandem Queue

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Boer de, Pieter-Tjerk (2006) Analysis of State-Independent Importance-Sampling Measures for the Two-Node Tandem Queue. ACM Transactions on Modeling and Computer Simulation, 16 (3). pp. 225-250. ISSN 1049-3301

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Abstract:We investigate the simulation of overflow of the total population of a Markovian two-node tandem queue model during a busy cycle, using importance sampling with a state-independent change of measure. We show that the only such change of measure that may possibly result in asymptotically efficient simulation for large overflow levels is exchanging the arrival rate with the smallest service rate. For this change of measure, we classify the model's parameter space into regions of asymptotic efficiency, exponential growth of the relative error, and infinite variance, using both analytical and numerical techniques.
Item Type:Article
Copyright:© 2006 ACM
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/66202
Official URL:http://doi.acm.org/10.1145/1147224.1147226
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